Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0814 |
| Annualized Std Dev | 0.2379 |
| Annualized Sharpe (Rf=0%) | -0.3422 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3690.0000 |
| NAs | 1.0000 |
| Minimum | -0.1208 |
| Quartile 1 | -0.0078 |
| Median | 0.0003 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0077 |
| Maximum | 0.0762 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.4552 |
| Kurtosis | 4.5824 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0110 |
| Gain Deviation | 0.0096 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.8962 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0363 |
| Modified VaR (95%) | -0.0254 |
| Modified ES (95%) | -0.0455 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-03 | 2020-04-28 | NA | -0.8962 | 3201 | 2975 | NA |
| 2006-08-03 | 2007-01-18 | 2007-11-02 | -0.3043 | 316 | 115 | 201 |
| 2008-03-14 | 2008-03-19 | 2008-04-15 | -0.0948 | 22 | 4 | 18 |
| 2008-01-04 | 2008-01-23 | 2008-02-14 | -0.0878 | 29 | 13 | 16 |
| 2007-11-21 | 2007-12-04 | 2007-12-26 | -0.0774 | 24 | 9 | 15 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | 0 | -1.3 | 0.5 | 0 | 0.1 | 0.7 | 0 |
| 2007 | -1.2 | 0.2 | -1 | -0.5 | 0.9 | 1.4 | -0.8 | 0.9 | -1.3 | 2.7 | -1.9 | -0.1 | -0.6 |
| 2008 | -1.9 | -1.3 | -1.7 | -1.7 | 0.9 | 0.1 | 0.1 | -0.2 | -2.9 | 1.1 | -4.6 | 6.8 | -5.6 |
| 2009 | -2.9 | -0.5 | -1.3 | 4.2 | 3 | -1.3 | 3.1 | -2.1 | 1.6 | -3.4 | 1.2 | 0.4 | 1.7 |
| 2010 | 1.8 | -1.2 | 2.3 | 0.7 | -2.1 | -1.4 | 1.1 | 1.8 | 1.4 | 0.8 | 3.1 | 1.9 | 10.5 |
| 2011 | 0 | 2.4 | 1.1 | 1 | -1.7 | -0.2 | 0.5 | -1.2 | -3.5 | -1.2 | -0.4 | -0.5 | -3.8 |
| 2012 | -0.1 | 1.6 | 0.1 | 0.3 | -3 | 4.9 | 0.7 | 1.3 | 0.2 | 0 | 0.3 | 0.7 | 7.1 |
| 2013 | 0.2 | -0.3 | -0.1 | -2.1 | -1.2 | 0.6 | 1.1 | -0.3 | -1.5 | -1.7 | 0.4 | -0.3 | -5.2 |
| 2014 | -0.8 | 0.4 | -1.5 | -0.2 | -0.9 | -0.2 | -1.1 | 0.9 | -0.3 | -0.1 | 1.5 | 0 | -2.2 |
| 2015 | 3.6 | 1 | 2.3 | 0 | 0.1 | -1.6 | -1.7 | -4.7 | -0.6 | 1 | 0.5 | 0.9 | 0.5 |
| 2016 | -3 | 0.3 | -2 | 0.8 | 1 | 1.2 | -2.1 | -1.3 | 0.4 | 0.2 | 2.1 | -0.1 | -2.7 |
| 2017 | 1.2 | 0.2 | 0.6 | 0.2 | -0.5 | 2.3 | -1.4 | 0.1 | -0.6 | 0 | 1.2 | 0.1 | 3.5 |
| 2018 | 1.2 | 0.2 | 0.5 | -0.6 | -1 | 1.4 | -1.3 | 0 | 2.2 | -1 | -0.4 | 0.4 | 1.5 |
| 2019 | 1.4 | -1.1 | 1.4 | 0.1 | -3.5 | 0.4 | -3.7 | -1.3 | -0.5 | 2.5 | -2.4 | -0.7 | -7.4 |
| 2020 | -1.3 | -1.4 | -1.8 | 0 | 0.4 | 0.8 | 0.8 | 0.3 | -1.9 | -0.3 | -0.7 | 0.9 | -4.1 |
| 2021 | 1.7 | -1 | 2.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-07-21 49.2 SPY 124. -0.007 0.0035 -0.0085 -0.0549 0.01 0.250 0.0268 GLD 61.7 -0.0133 -0.0629
2 2006-07-24 49.7 SPY 126. 0.0182 0.0233 0.0141 -0.0359 0.0216 0.272 0.0359 GLD 61.1 -0.0092 -0.0439
3 2006-07-25 49.2 SPY 127. 0.0036 0.0217 0.0178 -0.0285 0.0282 0.286 0.0467 GLD 61.6 0.0067 -0.0215
4 2006-07-26 49.6 SPY 127. 0.0013 0.0091 0.0147 -0.0274 0.0283 0.265 0.039 GLD 62 0.0073 -0.0317
5 2006-07-27 50.2 SPY 127. -0.0009 0.0151 0.0226 -0.033 0.0236 0.269 0.0443 GLD 62.9 0.0145 0.00580
6 2006-07-28 49.6 SPY 128. 0.01 0.0325 0.0259 -0.0265 0.0274 0.288 0.0759 GLD 63.1 0.0033 0.0227
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
